Maximum likelihood estimation of random effects models

DOI10.1016/0304-4076(87)90010-8zbMath0628.62109OpenAlexW2005455377MaRDI QIDQ1093302

Trevor S. Breusch

Publication date: 1987

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(87)90010-8

zbMATH Keywords

maximum likelihood estimationlikelihood functiongeneralized least squaresrandom effects modelexistence of a local maximumIterated GLSmultiple maximanon-negativity condition

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (9)

Robustness of tests for error components models to non-normality ⋮ Testing linear and loglinear error components regressions against Box-Cox alternatives ⋮ Misspecified heterogeneity in panel data models ⋮ Regression systems for unbalanced panel data: a stepwise maximum likelihood procedure ⋮ A transformation that will circumvent the problem of autocorrelation in an error-component model ⋮ A monotonic property for iterative GLS in the two-way random effects model ⋮ The error components regression model: conditional relative efficiency comparisons ⋮ The role of conditional likelihoods in latent variable modeling ⋮ Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity

Cites Work

• Panel Data and Unobservable Individual Effects
• A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models

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